A note on upper estimates for Pickands constants

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Cites Work

Title not available (Why is that?)
Asymptotic Properties of the Maximum in a Stationary Gaussian Process
Ruin probability for Gaussian integrated processes.
On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
Simulation of the Asymptotic Constant in Some Fluid Models
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Title not available (Why is that?)
Some Properties of Generalized Pickands Constants

Cited In (26)

Parisian ruin of self-similar Gaussian risk processes
Ruin problem of a two-dimensional fractional Brownian motion risk process
Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
Approximation of sojourn times of Gaussian processes
Extremes of 𝛼(𝑡)-locally stationary Gaussian random fields
Extremes and First Passage Times of Correlated Fractional Brownian Motions
Generalized Pickands constants and stationary max-stable processes
On asymptotic constants in the theory of extremes for Gaussian processes
Bounds for expected maxima of Gaussian processes and their discrete approximations
Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
Extremes of locally stationary chi-square processes with trend
On the \(\gamma\)-reflected processes with fBm input
On the continuity of Pickands constants
Pickands’ constant at first order in an expansion around Brownian motion
On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
Extremes of vector-valued Gaussian processes: exact asymptotics
Bounds on the suprema of Gaussian processes, and omega results for the sum of a random multiplicative function
Remarks on Pickands theorem
Large deviations of Shepp statistics for fractional Brownian motion
The limit theorems for maxima of stationary Gaussian processes with random index
Title not available (Why is that?)
Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Open problems in Gaussian fluid queueing theory
On generalised Piterbarg constants
Asymptotics of Maxima of Strongly Dependent Gaussian Processes

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Pickands’ constant at first order in an expansion around Brownian motion 👍 👎
On generalised Piterbarg constants 👍 👎
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